## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 200   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  33.5    13.6    -14.6
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 76.8 Win.Percent.Day 50.9
Cagr 35.25 Avg.Trade 5.2 Best.Day 13.6
Sharpe 1.28 Avg.Win 8 Worst.Day -14.6
DVR 1.06 Avg.Loss -4 Win.Percent.Month 70
Volatility 25.1 Best.Trade 54.14 Best.Month 37
MaxDD -31.08 Worst.Trade -15.99 Worst.Month -18.3
AvgDD -3.71 WinLoss.Ratio 1.98 Win.Percent.Year 91.3
VaR -2.17 Avg.Len 38.78 Best.Year 134.6
CVaR -3.83 Num.Trades 142 Worst.Year -3.2
Exposure 95.94
Roll.TwelveM 66.5327000365364 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  1.9" "  8.9" " 16.3" "-11.1"
## 1998 "  2.4" " -0.5" " 10.3" "  1.9" " -3.5" "  2.7" " -1.5" "  6.5"
## 1999 "  8.2" " -7.3" "  1.4" " 32.8" " -8.4" "  0.3" "  0.3" "  0.3"
## 2000 " -0.4" "  1.5" "  1.4" " -6.7" "  0.6" "  2.6" "  1.8" "  2.9"
## 2001 "  2.6" "  2.3" " -0.3" " -2.3" "  3.0" "  1.0" "  7.8" "  3.6"
## 2002 "  5.6" "  2.4" " -6.3" "  3.1" "  2.1" "  3.4" "  4.9" "  5.0"
## 2003 " -1.7" "  4.0" " -0.8" "  4.7" " 12.5" " 11.9" " 14.3" " -0.1"
## 2004 "  6.1" "  8.4" "  0.6" "-15.4" "  0.0" "  0.0" "  0.6" "  6.2"
## 2005 " -0.4" " 18.4" "-13.3" "  1.0" "  3.7" "  6.9" " 14.2" "  3.0"
## 2006 " 24.0" " -4.6" "  1.9" "  0.4" "  0.3" "  0.5" "  1.3" "  5.0"
## 2007 " -0.3" " -5.3" "  5.4" "  7.6" "  6.2" "  1.0" "  1.8" "  4.5"
## 2008 "  6.8" "  2.4" "  2.6" " -4.8" "  3.3" "  0.5" "  1.4" "  3.0"
## 2009 " -3.7" "-10.2" "  6.6" " -5.5" " 37.0" " -5.7" " 22.0" " -2.0"
## 2010 "  2.5" "  1.0" " 16.8" " -0.8" "-16.0" "  6.1" "  1.8" " -5.3"
## 2011 "  0.3" "  6.9" " -5.5" "  6.6" " -5.6" " -3.6" " -5.1" "  9.4"
## 2012 "  4.3" " 10.9" "  6.6" " -1.4" "  5.8" " -0.9" "  2.3" " -0.1"
## 2013 " -2.6" "  0.1" "  7.3" "  3.1" " -6.0" " -0.2" "  0.3" " -0.2"
## 2014 "  3.8" "  2.3" " -0.9" "  1.3" "  4.6" "  6.4" "  2.6" "  7.7"
## 2015 "  8.7" " -4.9" "  0.3" " -1.3" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  1.3" "  3.0" " -0.2" "  1.7" " -6.6" "  6.3" "  2.6" "  1.5"
## 2017 "  0.2" "  0.1" "  0.2" "  0.4" "  6.9" "  1.2" "  5.8" "  5.9"
## 2018 " 17.6" " -0.2" "  0.5" " -0.5" "  0.7" "  0.4" " -0.1" "  0.0"
## 2019 "  1.3" " -4.4" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.9" "  1.2" "  1.6" "  1.2" "  1.9" "  2.3" "  4.3" "  2.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  1.6" " -7.5" "  1.3" "  3.3" " 12.8" "-24.1"
## 1998 "  7.4" " -1.6" " 12.3" " 11.6" " 57.4" " -8.5"
## 1999 "  1.7" "  0.5" "  3.9" " 30.4" " 73.1" "-18.8"
## 2000 "-10.4" "  1.8" "  4.3" "  4.8" "  3.1" "-20.3"
## 2001 " -2.0" "  4.5" " -4.6" " -0.5" " 15.6" "-10.2"
## 2002 "  7.8" " -2.6" " -4.2" " -5.3" " 15.7" "-12.0"
## 2003 "  9.2" " 18.8" "  2.0" " 16.0" "134.6" " -7.7"
## 2004 " 11.5" "  4.5" " 21.2" " 10.8" " 63.4" "-21.9"
## 2005 " 17.0" " -0.2" "  0.8" " 13.3" " 79.8" "-18.1"
## 2006 "  0.4" "  6.6" " 15.0" "  8.0" " 72.7" "-13.3"
## 2007 " 20.0" " 26.4" "-18.3" "  0.0" " 51.4" "-31.1"
## 2008 " -0.4" "  2.2" "  2.2" " 10.5" " 33.0" " -9.1"
## 2009 "  7.7" " -5.7" " 14.2" "  6.1" " 65.7" "-22.1"
## 2010 " -0.1" "  6.0" " -6.1" " 14.2" " 17.0" "-26.4"
## 2011 "  4.5" " -2.6" " -1.3" "  4.0" "  6.6" "-21.5"
## 2012 "  2.2" " -1.3" "  5.3" "  8.6" " 50.3" "-11.1"
## 2013 "  0.4" "  6.4" "  6.0" "  0.4" " 15.3" "-12.8"
## 2014 "-14.1" "  0.5" "  2.6" "  0.2" " 16.4" "-18.4"
## 2015 "  3.1" " -1.3" " -0.3" " -2.2" "  2.0" " -8.5"
## 2016 "  3.7" "  0.5" " -0.9" "  0.1" " 13.1" "-18.0"
## 2017 " -1.1" "  3.6" " -0.8" "  2.6" " 27.4" " -6.8"
## 2018 " -2.4" " -4.1" "  0.8" "  5.7" " 18.2" "-10.0"
## 2019 "   NA" "   NA" "   NA" "   NA" " -3.2" " -6.1"
## Avg  "  3.1" "  2.5" "  2.5" "  6.5" " 36.6" "-15.5"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[130,] VEA 200 2017-09-29 2017-10-31 32 41.7 42.44 3.55
[131,] VWO 200 2017-10-31 2017-11-30 30 43.25 43.1 -0.67
[132,] VOO 200 2017-11-30 2017-12-29 29 237.59 240.64 2.57
[133,] VWO 200 2017-12-29 2018-01-31 33 44.7 48.52 17.12
[134,] SHY 200 2018-01-31 2018-05-31 120 82.03 82.25 0.53
[135,] IEF 200 2018-05-31 2018-06-29 29 100.66 100.86 0.39
[136,] SHY 200 2018-06-29 2018-07-31 32 82.28 82.23 -0.12
[137,] LQD 200 2018-07-31 2018-08-31 31 113.28 113.3 0.04
[138,] IEF 200 2018-08-31 2018-09-28 28 101.34 100.12 -2.41
[139,] LQD 200 2018-09-28 2018-10-31 33 113.14 110.82 -4.1
[140,] SHY 200 2018-10-31 2018-11-30 30 82.52 82.84 0.76
[141,] IEF 200 2018-11-30 2019-01-31 62 101.15 104.66 6.95
[142,] VWO 200 2019-01-31 2019-02-15 15 41.78 40.86 -4.4
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 76.8 Win.Percent.Day 50.9
Cagr 35.25 Avg.Trade 5.2 Best.Day 13.6
Sharpe 1.28 Avg.Win 8 Worst.Day -14.6
DVR 1.06 Avg.Loss -4 Win.Percent.Month 70
Volatility 25.1 Best.Trade 54.14 Best.Month 37
MaxDD -31.08 Worst.Trade -15.99 Worst.Month -18.3
AvgDD -3.71 WinLoss.Ratio 1.98 Win.Percent.Year 91.3
VaR -2.17 Avg.Len 38.78 Best.Year 134.6
CVaR -3.83 Num.Trades 142 Worst.Year -3.2
Exposure 95.94
Roll.TwelveM 66.5327000365364

With varying leverage

## Latest weights :
##            VOO VEA BND    VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 106.67   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  41.8    8.6 -8.6
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 70.7 Win.Percent.Day 50.9
Cagr 44.1 Avg.Trade 3.2 Best.Day 8.6
Sharpe 1.7 Avg.Win 6.1 Worst.Day -8.6
DVR 1.22 Avg.Loss -3.7 Win.Percent.Month 70
Volatility 21.97 Best.Trade 26.04 Best.Month 28.6
MaxDD -24.49 Worst.Trade -14.24 Worst.Month -13.6
AvgDD -3.04 WinLoss.Ratio 1.67 Win.Percent.Year 95.7
VaR -2.07 Avg.Len 20.94 Best.Year 100.6
CVaR -3.04 Num.Trades 263 Worst.Year 0.5
Exposure 95.94
Roll.TwelveM 67.2086225794666 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.6" "  5.2" " 12.0" " -6.8"
## 1998 "  3.8" " -0.6" "  7.6" "  1.7" " -2.7" "  3.9" " -2.6" " 28.6"
## 1999 "  4.3" " -8.9" "  5.7" " 20.6" " -4.6" "  1.3" "  1.0" "  0.9"
## 2000 " -2.4" "  7.9" "  5.7" " -2.3" "  2.7" " 12.6" "  3.6" "  4.4"
## 2001 "  5.1" "  2.5" " -0.3" " -4.2" "  1.3" "  1.0" " 10.4" "  5.0"
## 2002 "  2.8" "  2.5" " -8.3" " 15.1" "  5.0" "  7.1" "  8.8" "  6.7"
## 2003 " -3.5" "  5.4" " -1.7" "  7.8" "  6.5" "  8.0" " 10.6" " -0.9"
## 2004 "  4.5" "  5.5" "  0.5" "-10.1" " -0.2" " -0.5" "  2.9" " 10.2"
## 2005 " -0.3" " 17.6" "-13.3" " 10.4" "  6.2" "  3.4" " 11.5" "  6.5"
## 2006 " 20.0" " -2.2" "  1.1" "  3.2" "  2.9" "  5.3" " 12.8" "  2.7"
## 2007 "  0.0" " -2.6" "  4.7" "  2.6" "  5.0" "  8.7" " 13.7" "  7.7"
## 2008 "  6.3" "  2.6" "  2.4" " -4.1" "  1.4" "  1.9" "  1.6" "  3.8"
## 2009 " -2.5" " -6.7" "  5.9" " -5.5" "  7.0" " -1.0" "  7.3" " -0.4"
## 2010 "  3.9" "  1.8" "  5.9" " -0.3" "-13.0" "  7.6" "  2.3" " -2.3"
## 2011 "  1.6" "  9.1" " -3.9" "  3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 "  6.0" "  5.0" "  7.8" " -1.5" "  9.2" " -2.2" "  1.3" " -0.5"
## 2013 " -7.3" "  4.1" "  7.4" "  6.5" " -3.7" " -6.5" "  5.6" " -2.7"
## 2014 "  8.4" "  5.5" " -0.5" "  1.4" "  3.7" "  5.4" "  2.6" "  6.8"
## 2015 " 13.9" " -5.9" "  0.4" " -1.7" "  0.8" "  0.6" "  0.8" "  0.1"
## 2016 " 18.2" "  5.5" " -0.3" "  0.9" " -3.5" " 16.9" "  5.7" "  0.7"
## 2017 "  2.5" "  0.6" "  0.2" "  3.8" "  9.4" "  1.3" "  6.9" "  4.8"
## 2018 " 13.0" " -4.4" "  6.0" " -6.9" " 10.5" "  0.8" " -1.1" "  0.0"
## 2019 "  2.9" " -2.3" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  4.6" "  1.9" "  1.6" "  1.9" "  2.0" "  3.5" "  5.3" "  3.9"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  8.0" " -4.3" "  1.4" "  4.7" " 23.6" "-13.4"
## 1998 " 20.5" " -2.6" "  5.0" "  7.7" " 89.8" "-10.7"
## 1999 "  6.8" "  2.0" "  1.8" " 21.9" " 61.4" "-17.4"
## 2000 " -7.8" "  5.6" " 14.7" " 14.0" " 73.4" "-10.4"
## 2001 " -3.1" "  6.5" " -5.2" " -1.5" " 17.6" "-12.4"
## 2002 "  8.6" " -3.3" " -4.9" " -3.4" " 40.1" "-11.6"
## 2003 "  9.6" " 20.4" "  1.6" " 10.2" "100.6" "-13.3"
## 2004 " 12.2" "  4.6" " 17.0" "  8.0" " 66.5" "-21.0"
## 2005 "  7.7" " -1.3" "  7.8" "  6.0" " 77.7" "-18.1"
## 2006 "  0.3" "  9.4" "  8.2" "  5.2" " 92.1" " -7.4"
## 2007 "  4.1" "  7.7" " -5.2" "  0.0" " 55.1" "-13.1"
## 2008 " -0.8" "  6.5" "  6.4" "  8.2" " 41.7" "-10.8"
## 2009 "  4.0" " -2.3" "  4.9" "  1.9" " 11.9" "-10.2"
## 2010 " -0.1" "  3.8" " -3.9" " 11.9" " 16.4" "-20.3"
## 2011 "  3.5" " -2.8" " -0.1" "  4.3" " 18.0" "-17.4"
## 2012 "  4.2" " -0.7" "  3.8" "  5.9" " 44.7" "-14.4"
## 2013 "  8.8" "  4.6" "  5.0" "  0.8" " 22.9" "-18.3"
## 2014 "-11.3" "  6.7" "  4.6" "  0.2" " 37.2" "-14.9"
## 2015 "  5.2" " -2.0" " -0.7" " -6.2" "  4.0" "-11.5"
## 2016 "  3.3" "  0.3" "-13.6" "  1.7" " 37.0" "-21.6"
## 2017 " -1.1" "  5.2" " -0.7" "  4.1" " 43.3" " -7.3"
## 2018 " -7.7" "-11.0" " 11.1" " 16.7" " 24.9" "-24.5"
## 2019 "   NA" "   NA" "   NA" "   NA" "  0.5" " -8.1"
## Avg  "  3.4" "  2.4" "  2.7" "  5.6" " 43.5" "-14.3"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[251,] SHY 3889.9 2018-01-31 2018-02-28 28 82.03 81.95 -3.91
[252,] SHY 2401.5 2018-02-28 2018-03-29 29 81.95 82.15 5.93
[253,] SHY 2993.7 2018-03-29 2018-04-30 32 82.15 81.96 -7.03
[254,] SHY 3000.3 2018-04-30 2018-05-31 31 81.96 82.25 10.57
[255,] IEF 434.4 2018-05-31 2018-06-29 29 100.66 100.86 0.86
[256,] SHY 1845.7 2018-06-29 2018-07-31 32 82.28 82.23 -1.11
[257,] LQD 545.7 2018-07-31 2018-08-31 31 113.28 113.3 0.11
[258,] IEF 650.2 2018-08-31 2018-09-28 28 101.34 100.12 -7.84
[259,] LQD 552.8 2018-09-28 2018-10-31 33 113.14 110.82 -11.33
[260,] SHY 2819.5 2018-10-31 2018-11-30 30 82.52 82.84 10.74
[261,] IEF 566.7 2018-11-30 2018-12-31 31 101.15 103.98 15.89
[262,] IEF 477 2018-12-31 2019-01-31 31 103.98 104.66 3.11
[263,] VWO 106.7 2019-01-31 2019-02-15 15 41.78 40.86 -2.35
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 70.7 Win.Percent.Day 50.9
Cagr 44.1 Avg.Trade 3.2 Best.Day 8.6
Sharpe 1.7 Avg.Win 6.1 Worst.Day -8.6
DVR 1.22 Avg.Loss -3.7 Win.Percent.Month 70
Volatility 21.97 Best.Trade 26.04 Best.Month 28.6
MaxDD -24.49 Worst.Trade -14.24 Worst.Month -13.6
AvgDD -3.04 WinLoss.Ratio 1.67 Win.Percent.Year 95.7
VaR -2.07 Avg.Len 20.94 Best.Year 100.6
CVaR -3.04 Num.Trades 263 Worst.Year 0.5
Exposure 95.94
Roll.TwelveM 67.2086225794666

Max leverage 3

## Latest weights :
##            VOO VEA BND    VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 106.67   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  29.7    7.1 -8.6
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 71.1 Win.Percent.Day 50.9
Cagr 31.23 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.54 Avg.Win 5.5 Worst.Day -8.6
DVR 1.24 Avg.Loss -3.5 Win.Percent.Month 70
Volatility 17.99 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.7 WinLoss.Ratio 1.58 Win.Percent.Year 91.3
VaR -1.72 Avg.Len 25.26 Best.Year 103.6
CVaR -2.66 Num.Trades 218 Worst.Year -0.5
Exposure 95.94
Roll.TwelveM 67.025940811107 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.6" "  5.2" " 12.0" " -6.8"
## 1998 "  3.4" " -0.6" "  7.6" "  1.7" " -2.7" "  3.9" " -2.3" "  9.8"
## 1999 "  4.3" " -8.9" "  2.1" " 20.6" " -4.6" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -2.3" "  0.9" "  3.9" "  2.6" "  4.4"
## 2001 "  3.9" "  2.5" " -0.3" " -3.5" "  1.3" "  1.0" " 10.4" "  5.0"
## 2002 "  2.8" "  2.5" " -8.3" "  4.7" "  3.1" "  5.2" "  7.4" "  6.7"
## 2003 " -2.6" "  5.4" " -1.3" "  7.2" "  6.5" "  8.0" " 10.6" " -0.1"
## 2004 "  4.5" "  5.5" "  0.5" "-10.1" "  0.0" " -0.1" "  0.8" "  9.4"
## 2005 " -0.3" " 17.6" "-13.3" "  1.6" "  5.6" "  3.4" " 11.5" "  4.5"
## 2006 " 20.0" " -2.2" "  1.1" "  0.7" "  0.5" "  0.7" "  2.0" "  2.7"
## 2007 "  0.0" " -2.6" "  4.7" "  2.6" "  5.0" "  1.4" "  2.7" "  6.9"
## 2008 "  6.3" "  2.6" "  2.4" " -4.1" "  1.4" "  0.7" "  1.6" "  3.8"
## 2009 " -2.5" " -6.7" "  5.9" " -5.5" "  7.0" " -1.0" "  7.3" " -0.4"
## 2010 "  3.7" "  1.5" "  5.9" " -0.3" "-13.0" "  7.6" "  2.3" " -2.3"
## 2011 "  0.4" "  9.1" " -3.9" "  3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 "  6.0" "  5.0" "  7.8" " -1.5" "  8.8" " -1.3" "  1.3" " -0.2"
## 2013 " -3.9" "  0.2" "  7.4" "  4.6" " -3.7" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" " -0.5" "  1.4" "  3.7" "  5.4" "  2.6" "  6.8"
## 2015 " 13.3" " -5.9" "  0.4" " -1.7" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  2.0" "  4.4" " -0.3" "  0.9" " -3.5" "  9.5" "  3.9" "  0.7"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  9.4" "  1.3" "  6.9" "  4.8"
## 2018 " 13.0" " -0.3" "  0.7" " -0.7" "  1.1" "  0.6" " -0.2" "  0.0"
## 2019 "  1.9" " -2.3" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.7" "  1.5" "  1.0" "  1.0" "  1.2" "  2.4" "  3.8" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  2.3" " -4.3" "  1.4" "  4.7" " 17.1" "-14.1"
## 1998 " 11.2" " -2.5" "  5.0" "  7.7" " 49.7" "-10.4"
## 1999 "  2.5" "  0.8" "  1.8" " 21.9" " 45.0" "-12.1"
## 2000 " -7.8" "  2.7" "  6.5" "  7.3" " 23.3" " -9.2"
## 2001 " -3.1" "  6.5" " -5.2" " -0.8" " 17.8" "-12.2"
## 2002 "  8.6" " -3.3" " -4.9" " -3.4" " 21.3" "-11.6"
## 2003 "  9.6" " 20.4" "  1.6" " 10.2" "103.6" "-10.6"
## 2004 " 12.2" "  4.6" " 17.0" "  8.0" " 63.0" "-15.7"
## 2005 "  7.7" " -0.2" "  1.2" "  6.0" " 51.3" "-18.1"
## 2006 "  0.3" "  9.4" "  8.2" "  5.2" " 58.2" " -6.2"
## 2007 "  4.1" "  7.7" " -5.2" "  0.0" " 29.7" "-13.1"
## 2008 " -0.8" "  3.3" "  3.3" "  8.2" " 31.9" " -9.5"
## 2009 "  4.0" " -2.3" "  4.9" "  1.9" " 11.9" "-10.2"
## 2010 " -0.1" "  3.8" " -3.9" " 11.9" " 15.9" "-20.3"
## 2011 "  3.5" " -2.8" " -0.1" "  4.3" " 16.5" "-17.4"
## 2012 "  3.3" " -0.7" "  3.8" "  5.9" " 44.5" " -8.7"
## 2013 "  0.7" "  4.6" "  5.0" "  0.6" " 15.7" " -8.2"
## 2014 "-11.3" "  0.8" "  3.9" "  0.3" " 23.1" "-14.9"
## 2015 "  4.7" " -2.0" " -0.5" " -3.3" "  4.3" "-11.2"
## 2016 "  3.3" "  0.3" " -1.4" "  0.2" " 21.3" " -9.6"
## 2017 " -1.1" "  5.2" " -0.7" "  3.8" " 34.7" " -7.1"
## 2018 " -3.6" " -6.1" "  1.1" "  8.6" " 13.7" "-11.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.5" " -5.1"
## Avg  "  2.3" "  2.1" "  1.9" "  5.0" " 31.0" "-11.6"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[206,] VEA 289.2 2017-09-29 2017-10-31 32 41.7 42.44 5.13
[207,] VWO 189 2017-10-31 2017-11-30 30 43.25 43.1 -0.64
[208,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[209,] VWO 149.4 2017-12-29 2018-01-31 33 44.7 48.52 12.79
[210,] SHY 300 2018-01-31 2018-05-31 120 82.03 82.25 0.79
[211,] IEF 300 2018-05-31 2018-06-29 29 100.66 100.86 0.59
[212,] SHY 300 2018-06-29 2018-07-31 32 82.28 82.23 -0.18
[213,] LQD 300 2018-07-31 2018-08-31 31 113.28 113.3 0.06
[214,] IEF 300 2018-08-31 2018-09-28 28 101.34 100.12 -3.62
[215,] LQD 300 2018-09-28 2018-10-31 33 113.14 110.82 -6.15
[216,] SHY 300 2018-10-31 2018-11-30 30 82.52 82.84 1.14
[217,] IEF 300 2018-11-30 2019-01-31 62 101.15 104.66 10.43
[218,] VWO 106.7 2019-01-31 2019-02-15 15 41.78 40.86 -2.35
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 71.1 Win.Percent.Day 50.9
Cagr 31.23 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.54 Avg.Win 5.5 Worst.Day -8.6
DVR 1.24 Avg.Loss -3.5 Win.Percent.Month 70
Volatility 17.99 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.7 WinLoss.Ratio 1.58 Win.Percent.Year 91.3
VaR -1.72 Avg.Len 25.26 Best.Year 103.6
CVaR -2.66 Num.Trades 218 Worst.Year -0.5
Exposure 95.94
Roll.TwelveM 67.025940811107

Remove BND from investible

## Latest weights :
##            VOO VEA BND    VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 106.67   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  29.2    7.1 -8.6
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 70.6 Win.Percent.Day 50.8
Cagr 30.76 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.52 Avg.Win 5.5 Worst.Day -8.6
DVR 1.22 Avg.Loss -3.5 Win.Percent.Month 69.6
Volatility 17.99 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.73 WinLoss.Ratio 1.58 Win.Percent.Year 91.3
VaR -1.73 Avg.Len 25.26 Best.Year 103.6
CVaR -2.66 Num.Trades 218 Worst.Year -0.5
Exposure 95.94
Roll.TwelveM 66.7701863354037 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.6" "  5.2" " 12.0" " -6.8"
## 1998 "  3.4" " -0.6" "  7.6" "  1.7" " -2.7" "  3.9" " -2.3" "  9.8"
## 1999 "  4.3" " -8.9" "  2.1" " 20.6" " -4.6" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -2.3" "  0.9" "  3.9" " -5.0" "  4.4"
## 2001 "  3.9" "  2.5" " -0.3" " -3.5" "  1.3" "  1.0" " 10.4" "  5.0"
## 2002 "  2.8" "  2.5" " -8.3" "  4.7" "  3.1" "  5.2" "  7.4" "  6.7"
## 2003 " -2.6" "  5.4" " -1.3" "  7.2" "  6.5" "  8.0" " 10.6" " -0.1"
## 2004 "  4.5" "  5.5" "  0.5" "-10.1" "  0.0" " -0.1" "  0.8" "  9.4"
## 2005 " -0.3" " 17.6" "-13.3" "  1.6" "  5.6" "  3.4" " 11.5" "  4.5"
## 2006 " 20.0" " -2.2" "  1.1" "  0.7" "  0.5" "  0.7" "  2.0" "  2.7"
## 2007 "  0.0" " -2.6" "  4.7" "  2.6" "  5.0" "  1.4" "  2.7" "  6.9"
## 2008 "  6.3" "  2.6" "  2.4" " -4.1" "  1.4" "  0.7" "  1.6" "  3.8"
## 2009 " -2.5" " -6.7" "  5.9" " -5.5" "  7.0" " -1.0" "  7.3" " -0.4"
## 2010 "  3.7" "  1.5" "  5.9" " -0.3" "-13.0" "  7.6" "  2.3" " -2.3"
## 2011 "  0.4" "  9.1" " -3.9" "  3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 "  6.0" "  5.0" "  7.8" " -1.5" "  8.8" " -1.3" "  1.3" " -0.2"
## 2013 " -3.9" "  0.2" "  7.4" "  4.6" " -3.7" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" " -0.5" "  1.4" "  3.7" "  5.4" "  2.6" "  6.8"
## 2015 " 13.3" " -5.9" "  0.4" " -1.7" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  2.0" "  4.4" " -0.3" "  0.9" " -3.5" "  9.5" "  3.9" "  0.7"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  9.4" "  1.3" "  6.9" "  4.8"
## 2018 " 13.0" " -0.3" "  0.7" " -0.7" "  1.1" "  0.6" " -0.2" "  0.0"
## 2019 "  1.9" " -2.3" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.7" "  1.5" "  1.0" "  1.0" "  1.2" "  2.4" "  3.4" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  2.3" " -4.3" "  1.4" "  4.7" " 17.1" "-14.1"
## 1998 " 11.2" " -2.5" "  5.0" "  7.7" " 49.7" "-10.4"
## 1999 "  2.5" "  0.8" "  1.8" " 21.9" " 45.0" "-12.1"
## 2000 " -7.8" "  2.7" "  6.5" "  7.3" " 14.2" "-11.2"
## 2001 " -3.1" "  6.5" " -5.2" " -0.8" " 17.8" "-12.2"
## 2002 "  8.6" " -3.3" " -4.9" " -3.4" " 21.3" "-11.6"
## 2003 "  9.6" " 20.4" "  1.6" " 10.2" "103.6" "-10.6"
## 2004 " 12.2" "  4.6" " 17.0" "  8.0" " 63.0" "-15.7"
## 2005 "  7.7" " -0.2" "  1.2" "  6.0" " 51.3" "-18.1"
## 2006 "  0.3" "  9.4" "  8.2" "  5.2" " 58.2" " -6.2"
## 2007 "  4.1" "  7.7" " -5.2" "  0.0" " 29.7" "-13.1"
## 2008 " -0.8" "  3.3" "  3.3" "  8.2" " 31.9" " -9.5"
## 2009 "  4.0" " -2.3" "  4.9" "  1.9" " 11.9" "-10.2"
## 2010 " -0.1" "  3.8" " -3.9" " 11.9" " 15.9" "-20.3"
## 2011 "  3.5" " -2.8" " -0.1" "  4.3" " 16.5" "-17.4"
## 2012 "  3.3" " -0.7" "  3.8" "  5.9" " 44.5" " -8.7"
## 2013 "  0.7" "  4.6" "  5.0" "  0.6" " 15.7" " -8.2"
## 2014 "-11.3" "  0.8" "  3.9" "  0.3" " 23.1" "-14.9"
## 2015 "  4.7" " -2.0" " -0.5" " -3.3" "  4.3" "-11.2"
## 2016 "  3.3" "  0.3" " -1.4" "  0.2" " 21.3" " -9.6"
## 2017 " -1.1" "  5.2" " -0.7" "  3.8" " 34.7" " -7.1"
## 2018 " -3.6" " -6.1" "  1.1" "  8.6" " 13.7" "-11.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.5" " -5.1"
## Avg  "  2.3" "  2.1" "  1.9" "  5.0" " 30.6" "-11.7"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[206,] VEA 289.2 2017-09-29 2017-10-31 32 41.7 42.44 5.13
[207,] VWO 189 2017-10-31 2017-11-30 30 43.25 43.1 -0.64
[208,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[209,] VWO 149.4 2017-12-29 2018-01-31 33 44.7 48.52 12.79
[210,] SHY 300 2018-01-31 2018-05-31 120 82.03 82.25 0.79
[211,] IEF 300 2018-05-31 2018-06-29 29 100.66 100.86 0.59
[212,] SHY 300 2018-06-29 2018-07-31 32 82.28 82.23 -0.18
[213,] LQD 300 2018-07-31 2018-08-31 31 113.28 113.3 0.06
[214,] IEF 300 2018-08-31 2018-09-28 28 101.34 100.12 -3.62
[215,] LQD 300 2018-09-28 2018-10-31 33 113.14 110.82 -6.15
[216,] SHY 300 2018-10-31 2018-11-30 30 82.52 82.84 1.14
[217,] IEF 300 2018-11-30 2019-01-31 62 101.15 104.66 10.43
[218,] VWO 106.7 2019-01-31 2019-02-15 15 41.78 40.86 -2.35
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 70.6 Win.Percent.Day 50.8
Cagr 30.76 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.52 Avg.Win 5.5 Worst.Day -8.6
DVR 1.22 Avg.Loss -3.5 Win.Percent.Month 69.6
Volatility 17.99 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.73 WinLoss.Ratio 1.58 Win.Percent.Year 91.3
VaR -1.73 Avg.Len 25.26 Best.Year 103.6
CVaR -2.66 Num.Trades 218 Worst.Year -0.5
Exposure 95.94
Roll.TwelveM 66.7701863354037

Latest version with leverage rounding

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 100   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  30.6    6.9 -7.3
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 69.5 Win.Percent.Day 51.7
Cagr 32.21 Avg.Trade 4.3 Best.Day 6.9
Sharpe 1.5 Avg.Win 7.6 Worst.Day -7.3
DVR 1.25 Avg.Loss -3.5 Win.Percent.Month 65.8
Volatility 19.09 Best.Trade 24.06 Best.Month 23.8
MaxDD -22.75 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.89 WinLoss.Ratio 2.21 Win.Percent.Year 91.3
VaR -1.82 Avg.Len 35.76 Best.Year 98.7
CVaR -2.7 Num.Trades 154 Worst.Year -0.3
Exposure 95.94
Roll.TwelveM 65.3206650831354 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.5" "  4.5" " 12.1" " -5.6"
## 1998 "  5.2" " -1.2" "  7.7" "  1.9" " -2.6" "  2.9" "  0.7" "  9.8"
## 1999 "  4.2" " -9.0" "  1.7" " 23.8" " -4.2" " -0.9" " -1.4" " -0.3"
## 2000 " -1.4" "  3.0" "  6.2" " -3.0" "  0.4" "  6.7" " -4.5" "  4.9"
## 2001 "  3.9" "  3.2" "  1.5" " -3.5" "  1.6" "  1.2" "  8.1" "  3.3"
## 2002 "  2.9" "  3.9" " -6.8" "  8.0" "  3.1" "  5.2" "  7.4" "  6.3"
## 2003 " -2.4" "  6.7" " -1.3" "  0.4" "  6.2" "  8.9" " 10.6" "  1.4"
## 2004 "  4.6" "  6.3" "  0.5" "-11.7" " -1.7" "  1.8" "  3.6" "  8.6"
## 2005 " -0.4" " 18.4" "-13.3" "  7.7" "  5.6" "  3.5" " 10.6" "  6.0"
## 2006 " 17.7" " -2.1" "  1.2" " -1.9" " -0.4" "  0.6" "  5.1" "  2.5"
## 2007 "  0.0" " -2.3" "  4.1" "  1.9" "  4.6" " -1.5" "  6.8" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  1.8" "  3.3" "  1.7" "  3.8"
## 2009 " -5.8" " -1.6" "  6.6" " -5.5" "  8.8" " -1.1" "  5.4" " -0.3"
## 2010 "  7.2" "  0.9" "  4.0" " -0.2" "-12.0" "  7.7" "  2.2" " -2.6"
## 2011 " -0.1" "  8.7" " -3.9" "  3.4" " -4.1" " -2.6" " -2.4" " 11.7"
## 2012 "  2.5" "  5.4" "  8.2" " -1.4" "  8.8" " -1.3" "  1.2" " -0.4"
## 2013 " -3.9" "  3.4" "  7.3" "  4.6" " -4.5" " -7.6" " -1.0" " -3.6"
## 2014 "  9.4" "  1.0" " -0.6" "  1.3" "  3.4" "  4.8" "  2.6" "  7.7"
## 2015 " 13.3" " -6.1" "  2.1" " -1.6" " -1.4" " -5.0" "  3.8" "  0.1"
## 2016 " 10.3" "  4.4" " -0.3" "  1.0" " -3.2" "  9.4" "  0.7" "  0.8"
## 2017 "  0.6" "  2.1" "  0.2" "  3.3" "  8.6" "  1.2" "  7.3" "  4.5"
## 2018 " 13.0" " -2.8" "  3.5" " -3.8" "  2.9" "  0.6" " -1.6" "  3.0"
## 2019 "  1.9" " -2.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  4.1" "  1.9" "  1.5" "  1.0" "  1.1" "  1.9" "  3.6" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  4.4" " -3.4" "  0.9" "  3.3" " 19.2" "-10.8"
## 1998 " 11.2" " -2.5" "  6.1" "  8.7" " 57.8" "-10.4"
## 1999 "  3.2" "  0.3" "  2.0" " 22.1" " 44.0" "-14.7"
## 2000 " -7.9" "  2.7" "  6.5" "  7.3" " 21.4" "-10.5"
## 2001 "  7.2" "  6.7" " -7.0" " -3.0" " 24.3" "-14.5"
## 2002 "  7.8" " -3.2" " -5.3" " -4.0" " 26.2" "-12.4"
## 2003 " 10.1" " 18.8" "  1.6" " 11.9" " 98.7" "-10.6"
## 2004 " 11.5" "  4.5" " 15.6" "  8.1" " 61.7" "-21.3"
## 2005 "  8.2" " -3.7" "  1.8" "  6.5" " 59.3" "-18.1"
## 2006 "  0.3" "  9.9" "  7.3" "  6.0" " 55.0" " -6.6"
## 2007 "  4.9" "  6.4" " -4.1" "  0.0" " 30.5" "-11.8"
## 2008 " -0.8" " -1.8" " 15.9" "  7.8" " 46.0" "-13.6"
## 2009 "  3.9" " -2.4" "  3.6" "  1.6" " 12.7" " -9.1"
## 2010 " -0.1" "  3.1" " -4.4" " 10.5" " 15.4" "-18.3"
## 2011 "  3.3" " -2.6" " -0.1" "  4.0" " 14.8" "-17.5"
## 2012 " -1.1" " -0.9" "  4.0" "  6.4" " 35.3" " -9.5"
## 2013 "  5.5" "  4.8" "  4.5" " -6.2" "  1.8" "-22.7"
## 2014 "-10.6" "  4.6" "  3.9" "  0.3" " 29.7" "-14.0"
## 2015 "  4.7" " -2.0" " -1.3" " -1.5" "  3.8" "-14.6"
## 2016 "  2.9" "  0.3" "-12.3" " -0.4" " 12.3" "-18.3"
## 2017 " -1.1" "  5.3" " -0.8" "  3.8" " 40.7" " -7.4"
## 2018 " -3.6" " -1.0" "  4.0" "  8.6" " 23.7" " -9.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.3" " -5.1"
## Avg  "  2.9" "  2.0" "  1.9" "  4.6" " 31.9" "-13.1"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[142,] VOO 300 2017-02-28 2017-03-31 31 208.93 209.21 0.4
[143,] IEF 300 2017-03-31 2017-04-28 28 101.43 102.56 3.33
[144,] VEA 250 2017-04-28 2017-05-31 33 37.99 39.28 8.53
[145,] VEA 200 2017-05-31 2017-06-30 30 39.28 39.53 1.27
[146,] VEA 250 2017-06-30 2017-07-31 31 39.53 40.67 7.2
[147,] VWO 150 2017-07-31 2017-08-31 31 41.19 42.43 4.5
[148,] VWO 200 2017-08-31 2017-09-29 29 42.43 42.22 -0.99
[149,] VEA 300 2017-09-29 2017-10-31 32 41.7 42.44 5.32
[150,] VWO 200 2017-10-31 2017-11-30 30 43.25 43.1 -0.67
[151,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[152,] VWO 150 2017-12-29 2018-01-31 33 44.7 48.52 12.84
[153,] IEF 300 2018-01-31 2019-01-31 365 100.75 104.66 11.64
[154,] VWO 100 2019-01-31 2019-02-15 15 41.78 40.86 -2.2
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 69.5 Win.Percent.Day 51.7
Cagr 32.21 Avg.Trade 4.3 Best.Day 6.9
Sharpe 1.5 Avg.Win 7.6 Worst.Day -7.3
DVR 1.25 Avg.Loss -3.5 Win.Percent.Month 65.8
Volatility 19.09 Best.Trade 24.06 Best.Month 23.8
MaxDD -22.75 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.89 WinLoss.Ratio 2.21 Win.Percent.Year 91.3
VaR -1.82 Avg.Len 35.76 Best.Year 98.7
CVaR -2.7 Num.Trades 154 Worst.Year -0.3
Exposure 95.94
Roll.TwelveM 65.3206650831354

Latest version with leverage rounding and top 2 and just IEF

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15  25   0   0  25   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  19.5    6.9 -6.5
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 73.2 Win.Percent.Day 50.9
Cagr 20.5 Avg.Trade 1.6 Best.Day 6.9
Sharpe 1.45 Avg.Win 2.9 Worst.Day -6.5
DVR 1.28 Avg.Loss -1.9 Win.Percent.Month 70.7
Volatility 12.85 Best.Trade 20.85 Best.Month 13.3
MaxDD -16.83 Worst.Trade -10.37 Worst.Month -9.1
AvgDD -1.72 WinLoss.Ratio 1.54 Win.Percent.Year 95.7
VaR -1.28 Avg.Len 29.8 Best.Year 50
CVaR -1.87 Num.Trades 265 Worst.Year 1.5
Exposure 95.94
Roll.TwelveM 66.9345999269273 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.4" "  3.8" "  4.0" " -6.8"
## 1998 "  3.4" " -0.5" "  3.1" "  0.7" " -1.2" "  4.1" " -2.3" "  9.8"
## 1999 "  0.8" " -9.1" "  2.1" "  6.6" " -2.9" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -2.7" "  0.9" "  3.9" " -2.4" "  4.4"
## 2001 "  3.9" "  2.3" " -0.3" " -3.5" " -0.5" "  1.0" "  9.9" "  5.4"
## 2002 "  0.2" "  2.4" " -7.9" "  4.7" "  3.1" "  5.2" "  7.4" "  6.3"
## 2003 " -2.6" "  5.0" " -1.3" "  7.2" "  2.8" "  3.2" "  3.8" " -0.1"
## 2004 "  2.0" "  2.8" "  0.3" " -3.8" "  0.0" " -0.1" "  0.8" "  9.4"
## 2005 " -0.9" "  6.8" " -4.9" "  1.6" "  5.6" "  0.9" "  4.9" "  4.5"
## 2006 "  7.8" " -0.8" "  1.5" "  0.7" "  0.5" "  0.7" "  2.0" "  1.5"
## 2007 "  0.7" " -0.5" "  2.2" "  1.5" "  2.8" "  1.4" "  2.7" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  0.8" "  0.7" "  1.7" "  3.8"
## 2009 " -2.7" " -7.7" "  6.6" " -5.5" "  3.8" " -0.5" "  4.0" "  0.5"
## 2010 "  3.7" "  1.5" "  2.5" "  0.9" " -5.2" "  7.7" "  2.2" " -1.5"
## 2011 "  0.4" "  3.5" " -0.9" "  1.6" " -1.7" " -0.9" " -1.3" " 11.7"
## 2012 "  5.4" "  3.5" "  1.4" " -0.9" "  8.8" " -1.3" "  0.4" " -0.2"
## 2013 " -3.9" "  0.2" "  2.2" "  4.6" " -0.3" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" "  0.2" "  0.6" "  1.7" "  2.5" " -0.4" "  4.4"
## 2015 " 13.3" " -6.1" "  0.4" " -1.6" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  2.0" "  4.4" " -0.3" "  0.4" " -0.9" "  9.5" "  3.9" "  0.3"
## 2017 "  0.3" "  0.1" "  1.5" "  0.6" "  2.6" "  0.6" "  4.5" "  1.1"
## 2018 "  7.4" " -0.3" "  0.7" " -0.7" "  1.1" "  0.6" " -0.2" "  0.0"
## 2019 "  1.9" "  0.1" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  2.5" "  0.7" "  0.7" "  0.4" "  1.1" "  2.0" "  2.1" "  2.8"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  2.3" " -4.2" "  1.3" "  5.0" "  7.4" "-10.6"
## 1998 " 11.2" " -2.5" "  2.2" "  1.4" " 32.5" "-10.4"
## 1999 "  2.5" "  0.8" "  2.0" " 10.0" " 13.8" "-12.6"
## 2000 " -4.3" "  2.7" "  6.5" "  7.3" " 21.2" " -5.8"
## 2001 " -3.1" "  6.7" " -4.6" " -0.8" " 16.5" "-12.2"
## 2002 "  7.8" " -3.2" " -5.3" " -2.5" " 18.0" "-11.1"
## 2003 "  9.2" "  7.8" "  1.2" "  5.8" " 50.0" "-10.6"
## 2004 "  4.7" "  2.8" "  7.4" "  4.2" " 34.4" " -7.5"
## 2005 "  3.8" " -0.2" "  1.2" "  4.2" " 30.3" " -7.2"
## 2006 "  0.4" "  3.7" "  4.2" "  3.1" " 28.0" " -2.7"
## 2007 "  2.4" "  2.7" " -2.4" "  0.0" " 22.0" " -7.0"
## 2008 " -0.8" "  3.3" "  3.3" "  7.8" " 32.2" " -9.6"
## 2009 "  2.4" " -1.2" "  1.9" "  0.9" "  1.5" "-11.5"
## 2010 " -0.1" "  1.8" " -2.3" "  4.4" " 16.2" " -9.1"
## 2011 "  3.3" " -2.6" " -0.2" "  4.0" " 17.4" " -8.1"
## 2012 "  3.3" " -1.4" "  1.5" "  4.2" " 27.0" " -9.6"
## 2013 "  0.7" "  3.4" "  1.5" "  0.6" "  9.1" " -4.7"
## 2014 " -3.6" "  0.8" "  3.9" "  0.3" " 21.0" " -5.1"
## 2015 "  4.7" " -2.0" " -0.5" " -3.3" "  4.3" "-11.5"
## 2016 "  0.8" " -0.8" " -1.4" "  0.2" " 19.0" " -7.6"
## 2017 "  1.6" "  3.1" "  2.1" "  2.2" " 22.4" " -2.8"
## 2018 " -3.6" " -6.1" "  1.1" "  8.6" "  8.1" "-11.6"
## 2019 "   NA" "   NA" "   NA" "   NA" "  2.0" " -5.1"
## Avg  "  2.1" "  0.7" "  1.1" "  3.1" " 19.7" " -8.4"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[253,] VWO 50 2017-10-31 2017-11-30 30 43.25 43.1 -0.17
[254,] VEA 75 2017-11-30 2017-12-29 29 42.81 43.52 1.24
[255,] VWO 37.5 2017-12-29 2018-01-31 33 44.7 48.52 3.21
[256,] SHY 300 2018-01-31 2018-05-31 120 82.03 82.25 0.79
[257,] IEF 300 2018-05-31 2018-06-29 29 100.66 100.86 0.59
[258,] SHY 300 2018-06-29 2018-07-31 32 82.28 82.23 -0.18
[259,] LQD 300 2018-07-31 2018-08-31 31 113.28 113.3 0.06
[260,] IEF 300 2018-08-31 2018-09-28 28 101.34 100.12 -3.62
[261,] LQD 300 2018-09-28 2018-10-31 33 113.14 110.82 -6.15
[262,] SHY 300 2018-10-31 2018-11-30 30 82.52 82.84 1.14
[263,] IEF 300 2018-11-30 2019-01-31 62 101.15 104.66 10.43
[264,] VOO 25 2019-01-31 2019-02-15 15 248.01 254.98 0.7
[265,] VWO 25 2019-01-31 2019-02-15 15 41.78 40.86 -0.55
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 73.2 Win.Percent.Day 50.9
Cagr 20.5 Avg.Trade 1.6 Best.Day 6.9
Sharpe 1.45 Avg.Win 2.9 Worst.Day -6.5
DVR 1.28 Avg.Loss -1.9 Win.Percent.Month 70.7
Volatility 12.85 Best.Trade 20.85 Best.Month 13.3
MaxDD -16.83 Worst.Trade -10.37 Worst.Month -9.1
AvgDD -1.72 WinLoss.Ratio 1.54 Win.Percent.Year 95.7
VaR -1.28 Avg.Len 29.8 Best.Year 50
CVaR -1.87 Num.Trades 265 Worst.Year 1.5
Exposure 95.94
Roll.TwelveM 66.9345999269273

Using volatility as part of the measure

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 100   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  28.5    6.9 -8.6
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 73.9 Win.Percent.Day 50.5
Cagr 30.02 Avg.Trade 3.3 Best.Day 6.9
Sharpe 1.47 Avg.Win 5.9 Worst.Day -8.6
DVR 1.2 Avg.Loss -3.8 Win.Percent.Month 70.3
Volatility 18.2 Best.Trade 38.32 Best.Month 23.8
MaxDD -22.38 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.8 WinLoss.Ratio 1.53 Win.Percent.Year 87
VaR -1.72 Avg.Len 29.93 Best.Year 113.1
CVaR -2.68 Num.Trades 184 Worst.Year -3.8
Exposure 95.94
Roll.TwelveM 66.8006577745295 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.1" " 11.0" "  3.9" " -5.6"
## 1998 "  3.4" " -0.5" "  7.7" "  1.9" " -2.6" "  4.1" " -2.3" "  2.9"
## 1999 "  4.2" " -9.0" "  2.1" " 23.8" " -4.2" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -3.0" "  0.9" "  3.9" " -4.5" "  4.9"
## 2001 "  3.9" "  2.3" " -0.3" " -3.7" "  1.6" "  1.0" "  4.3" "  5.4"
## 2002 "  2.9" "  2.4" " -2.5" "  6.8" "  1.8" "  2.8" "  7.4" "  6.3"
## 2003 " -2.6" "  5.0" "  0.3" "  7.2" "  6.2" "  8.9" " 10.6" "  2.9"
## 2004 "  3.1" "  5.0" "  0.5" "-11.7" " -1.4" "  0.3" "  0.8" "  2.2"
## 2005 " -0.4" " 18.4" "-13.3" "  4.9" "  1.8" "  0.2" " 10.6" "  6.0"
## 2006 " 17.7" " -2.1" "  4.7" "  0.7" "  0.5" "  0.7" "  2.0" "  2.5"
## 2007 "  2.2" " -5.1" "  4.1" "  3.9" "  7.0" "  1.4" "  2.7" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  1.8" "  0.7" "  1.7" "  1.4"
## 2009 " -5.8" " -1.6" "  6.6" " -5.5" "  8.8" " -1.1" "  5.4" " -0.3"
## 2010 "  3.7" "  1.5" "  6.0" "  3.6" "-12.0" "  7.7" "  2.2" " -2.6"
## 2011 "  0.0" "  8.7" " -0.2" "  3.4" " -2.4" " -2.6" " -2.4" " 11.7"
## 2012 "  2.5" "  8.7" "  8.2" " -1.4" "  2.2" "  2.6" "  1.2" " -0.2"
## 2013 " -3.9" "  0.2" "  7.3" "  0.2" " -4.5" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" "  1.3" "  1.3" "  3.5" "  3.1" " -4.3" "  7.7"
## 2015 " 13.3" " -6.1" "  2.1" " -1.6" " -1.4" " -5.0" "  0.1" " -0.2"
## 2016 " 10.3" "  4.4" " -0.3" "  0.5" "  3.4" "  9.5" "  3.9" "  0.2"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  8.6" "  1.2" "  7.3" " -0.1"
## 2018 " 17.4" " -6.6" "  0.7" " -0.7" "  1.1" "  0.1" " -0.2" "  1.0"
## 2019 "  1.9" " -2.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.9" "  1.4" "  1.9" "  1.3" "  1.0" "  2.3" "  2.3" "  2.4"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  6.2" " -3.4" "  1.3" "  5.0" " 21.3" "-10.8"
## 1998 " 11.2" " -2.5" "  6.1" "  8.7" " 43.7" "-10.4"
## 1999 "  2.5" "  0.8" "  6.1" " 22.1" " 55.9" "-11.2"
## 2000 " -7.9" "  2.7" "  6.5" "  8.0" " 15.1" "-10.5"
## 2001 " -3.1" "  6.7" " -4.6" " -1.9" " 11.5" "-12.3"
## 2002 "  7.8" " -3.2" " -5.3" " -4.0" " 24.3" "-12.4"
## 2003 "  9.2" " 18.8" "  1.6" " 11.9" "113.1" " -8.5"
## 2004 " 11.5" "  4.5" " 14.9" "  8.1" " 41.5" "-22.4"
## 2005 "  7.1" " -3.7" "  1.2" "  6.5" " 42.6" "-18.1"
## 2006 "  0.3" "  9.9" "  5.6" "  6.0" " 58.7" " -5.3"
## 2007 "  4.9" "  6.4" " -4.1" "  0.0" " 33.8" "-14.5"
## 2008 " -0.8" "  3.3" "  3.3" "  7.8" " 30.4" " -9.6"
## 2009 "  3.9" " -2.4" "  3.6" "  1.9" " 13.1" " -9.1"
## 2010 " -0.1" "  3.1" " -4.4" " 10.5" " 18.8" "-20.0"
## 2011 "  3.3" " -2.6" " -0.1" "  4.0" " 21.5" "-12.7"
## 2012 "  3.3" " -5.0" "  4.0" "  6.4" " 36.7" "-12.8"
## 2013 "  0.7" "  4.8" "  1.2" " -0.5" "  5.0" " -9.5"
## 2014 " -3.5" "  4.6" "  3.9" "  0.3" " 29.6" "-10.2"
## 2015 "  0.9" " -2.0" " -1.3" " -1.5" " -3.8" "-16.7"
## 2016 " -0.4" "  0.3" " -9.3" "  0.2" " 23.5" "-12.0"
## 2017 " -1.1" "  7.1" "  9.3" "  3.8" " 43.3" " -6.6"
## 2018 " -3.6" "  0.5" "  1.1" "  2.3" " 12.2" "-13.6"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.3" " -5.1"
## Avg  "  2.4" "  2.2" "  1.9" "  4.8" " 30.1" "-11.9"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[172,] SHY 300 2017-03-31 2017-04-28 28 82.22 82.37 0.56
[173,] VEA 250 2017-04-28 2017-05-31 33 37.99 39.28 8.53
[174,] VEA 200 2017-05-31 2017-06-30 30 39.28 39.53 1.27
[175,] VEA 250 2017-06-30 2017-07-31 31 39.53 40.67 7.2
[176,] VEA 300 2017-07-31 2017-08-31 31 40.67 40.68 0.07
[177,] VWO 200 2017-08-31 2017-09-29 29 42.43 42.22 -0.99
[178,] VOO 300 2017-09-29 2018-01-31 124 225.3 254.08 38.32
[179,] LQD 300 2018-01-31 2018-02-28 28 115.47 112.89 -6.71
[180,] SHY 300 2018-02-28 2018-08-31 184 81.95 82.52 2.09
[181,] IEF 300 2018-08-31 2018-09-28 28 101.34 100.12 -3.62
[182,] SHY 300 2018-09-28 2018-12-31 94 82.4 83.47 3.9
[183,] IEF 300 2018-12-31 2019-01-31 31 103.98 104.66 1.96
[184,] VWO 100 2019-01-31 2019-02-15 15 41.78 40.86 -2.2
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 73.9 Win.Percent.Day 50.5
Cagr 30.02 Avg.Trade 3.3 Best.Day 6.9
Sharpe 1.47 Avg.Win 5.9 Worst.Day -8.6
DVR 1.2 Avg.Loss -3.8 Win.Percent.Month 70.3
Volatility 18.2 Best.Trade 38.32 Best.Month 23.8
MaxDD -22.38 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.8 WinLoss.Ratio 1.53 Win.Percent.Year 87
VaR -1.72 Avg.Len 29.93 Best.Year 113.1
CVaR -2.68 Num.Trades 184 Worst.Year -3.8
Exposure 95.94
Roll.TwelveM 66.8006577745295

Just SPY and IEF

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15   0   0   0 100   0   0   0   0
## 
## Performance summary :
##  CAGR    Best    Worst   
##  30.6    6.9 -7.3
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 69.5 Win.Percent.Day 51.7
Cagr 32.21 Avg.Trade 4.3 Best.Day 6.9
Sharpe 1.5 Avg.Win 7.6 Worst.Day -7.3
DVR 1.25 Avg.Loss -3.5 Win.Percent.Month 65.8
Volatility 19.09 Best.Trade 24.06 Best.Month 23.8
MaxDD -22.75 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.89 WinLoss.Ratio 2.21 Win.Percent.Year 91.3
VaR -1.82 Avg.Len 35.76 Best.Year 98.7
CVaR -2.7 Num.Trades 154 Worst.Year -0.3
Exposure 95.94
Roll.TwelveM 65.3206650831354 

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.5" "  4.5" " 12.1" " -5.6"
## 1998 "  5.2" " -1.2" "  7.7" "  1.9" " -2.6" "  2.9" "  0.7" "  9.8"
## 1999 "  4.2" " -9.0" "  1.7" " 23.8" " -4.2" " -0.9" " -1.4" " -0.3"
## 2000 " -1.4" "  3.0" "  6.2" " -3.0" "  0.4" "  6.7" " -4.5" "  4.9"
## 2001 "  3.9" "  3.2" "  1.5" " -3.5" "  1.6" "  1.2" "  8.1" "  3.3"
## 2002 "  2.9" "  3.9" " -6.8" "  8.0" "  3.1" "  5.2" "  7.4" "  6.3"
## 2003 " -2.4" "  6.7" " -1.3" "  0.4" "  6.2" "  8.9" " 10.6" "  1.4"
## 2004 "  4.6" "  6.3" "  0.5" "-11.7" " -1.7" "  1.8" "  3.6" "  8.6"
## 2005 " -0.4" " 18.4" "-13.3" "  7.7" "  5.6" "  3.5" " 10.6" "  6.0"
## 2006 " 17.7" " -2.1" "  1.2" " -1.9" " -0.4" "  0.6" "  5.1" "  2.5"
## 2007 "  0.0" " -2.3" "  4.1" "  1.9" "  4.6" " -1.5" "  6.8" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  1.8" "  3.3" "  1.7" "  3.8"
## 2009 " -5.8" " -1.6" "  6.6" " -5.5" "  8.8" " -1.1" "  5.4" " -0.3"
## 2010 "  7.2" "  0.9" "  4.0" " -0.2" "-12.0" "  7.7" "  2.2" " -2.6"
## 2011 " -0.1" "  8.7" " -3.9" "  3.4" " -4.1" " -2.6" " -2.4" " 11.7"
## 2012 "  2.5" "  5.4" "  8.2" " -1.4" "  8.8" " -1.3" "  1.2" " -0.4"
## 2013 " -3.9" "  3.4" "  7.3" "  4.6" " -4.5" " -7.6" " -1.0" " -3.6"
## 2014 "  9.4" "  1.0" " -0.6" "  1.3" "  3.4" "  4.8" "  2.6" "  7.7"
## 2015 " 13.3" " -6.1" "  2.1" " -1.6" " -1.4" " -5.0" "  3.8" "  0.1"
## 2016 " 10.3" "  4.4" " -0.3" "  1.0" " -3.2" "  9.4" "  0.7" "  0.8"
## 2017 "  0.6" "  2.1" "  0.2" "  3.3" "  8.6" "  1.2" "  7.3" "  4.5"
## 2018 " 13.0" " -2.8" "  3.5" " -3.8" "  2.9" "  0.6" " -1.6" "  3.0"
## 2019 "  1.9" " -2.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  4.1" "  1.9" "  1.5" "  1.0" "  1.1" "  1.9" "  3.6" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  4.4" " -3.4" "  0.9" "  3.3" " 19.2" "-10.8"
## 1998 " 11.2" " -2.5" "  6.1" "  8.7" " 57.8" "-10.4"
## 1999 "  3.2" "  0.3" "  2.0" " 22.1" " 44.0" "-14.7"
## 2000 " -7.9" "  2.7" "  6.5" "  7.3" " 21.4" "-10.5"
## 2001 "  7.2" "  6.7" " -7.0" " -3.0" " 24.3" "-14.5"
## 2002 "  7.8" " -3.2" " -5.3" " -4.0" " 26.2" "-12.4"
## 2003 " 10.1" " 18.8" "  1.6" " 11.9" " 98.7" "-10.6"
## 2004 " 11.5" "  4.5" " 15.6" "  8.1" " 61.7" "-21.3"
## 2005 "  8.2" " -3.7" "  1.8" "  6.5" " 59.3" "-18.1"
## 2006 "  0.3" "  9.9" "  7.3" "  6.0" " 55.0" " -6.6"
## 2007 "  4.9" "  6.4" " -4.1" "  0.0" " 30.5" "-11.8"
## 2008 " -0.8" " -1.8" " 15.9" "  7.8" " 46.0" "-13.6"
## 2009 "  3.9" " -2.4" "  3.6" "  1.6" " 12.7" " -9.1"
## 2010 " -0.1" "  3.1" " -4.4" " 10.5" " 15.4" "-18.3"
## 2011 "  3.3" " -2.6" " -0.1" "  4.0" " 14.8" "-17.5"
## 2012 " -1.1" " -0.9" "  4.0" "  6.4" " 35.3" " -9.5"
## 2013 "  5.5" "  4.8" "  4.5" " -6.2" "  1.8" "-22.7"
## 2014 "-10.6" "  4.6" "  3.9" "  0.3" " 29.7" "-14.0"
## 2015 "  4.7" " -2.0" " -1.3" " -1.5" "  3.8" "-14.6"
## 2016 "  2.9" "  0.3" "-12.3" " -0.4" " 12.3" "-18.3"
## 2017 " -1.1" "  5.3" " -0.8" "  3.8" " 40.7" " -7.4"
## 2018 " -3.6" " -1.0" "  4.0" "  8.6" " 23.7" " -9.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.3" " -5.1"
## Avg  "  2.9" "  2.0" "  1.9" "  4.6" " 31.9" "-13.1"
VOO VEA BND VWO LQD TLT SHY IEF
1.4411161 -6.129696 -5.79439910 0.8325736 -9.6170173 -16.6506561 -1.2243214 -8.4276753
-1.8040397 3.481770 0.26615230 11.4826221 -1.3618504 5.4113513 0.3462248 0.2991608
0.5011327 4.629438 -4.79165139 -10.9361755 -9.6270572 -10.2148574 -1.2248742 -7.2419370
12.6806324 -2.250500 1.90870444 -8.7316456 -0.5229873 7.7795944 1.3418317 2.1142324
10.7917823 -6.443910 -1.31090452 -26.1263588 -5.6410302 0.8941974 0.2723800 -1.0280292
21.9618618 5.058749 -0.03069593 4.1632189 4.1475689 -3.9690612 0.1900816 -1.8542951
26.2515496 -6.074573 2.83084992 -23.4719600 0.6413530 5.3073475 1.6653924 3.6709842
19.3806070 3.713579 -1.95619731 -12.2184784 0.1400473 -13.7337829 -0.1757681 -5.5221576
-20.2834946 -42.434305 -3.94247221 -46.7686752 -9.7674830 -16.5195044 1.1823402 -2.1307491
4.0609263 -12.266966 0.67987604 3.1588462 -5.5557919 -1.7784239 2.0644081 3.6413296
-44.6349654 -40.213461 8.09367262 -24.1795863 4.3604102 22.4684294 4.6658163 14.0645718
21.8549778 17.221304 9.00435470 35.1051793 16.5087082 11.4672715 3.5333951 9.9399542
8.9020455 2.445738 5.17029938 -6.2088926 7.1523703 9.6966141 2.2563744 5.3150243
symbol weight entry.date exit.date nhold entry.price exit.price return
[142,] VOO 300 2017-02-28 2017-03-31 31 208.93 209.21 0.4
[143,] IEF 300 2017-03-31 2017-04-28 28 101.43 102.56 3.33
[144,] VEA 250 2017-04-28 2017-05-31 33 37.99 39.28 8.53
[145,] VEA 200 2017-05-31 2017-06-30 30 39.28 39.53 1.27
[146,] VEA 250 2017-06-30 2017-07-31 31 39.53 40.67 7.2
[147,] VWO 150 2017-07-31 2017-08-31 31 41.19 42.43 4.5
[148,] VWO 200 2017-08-31 2017-09-29 29 42.43 42.22 -0.99
[149,] VEA 300 2017-09-29 2017-10-31 32 41.7 42.44 5.32
[150,] VWO 200 2017-10-31 2017-11-30 30 43.25 43.1 -0.67
[151,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[152,] VWO 150 2017-12-29 2018-01-31 33 44.7 48.52 12.84
[153,] IEF 300 2018-01-31 2019-01-31 365 100.75 104.66 11.64
[154,] VWO 100 2019-01-31 2019-02-15 15 41.78 40.86 -2.2
System Trade Period
Period Apr1997 - Feb2019 Win.Percent 69.5 Win.Percent.Day 51.7
Cagr 32.21 Avg.Trade 4.3 Best.Day 6.9
Sharpe 1.5 Avg.Win 7.6 Worst.Day -7.3
DVR 1.25 Avg.Loss -3.5 Win.Percent.Month 65.8
Volatility 19.09 Best.Trade 24.06 Best.Month 23.8
MaxDD -22.75 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.89 WinLoss.Ratio 2.21 Win.Percent.Year 91.3
VaR -1.82 Avg.Len 35.76 Best.Year 98.7
CVaR -2.7 Num.Trades 154 Worst.Year -0.3
Exposure 95.94
Roll.TwelveM 65.3206650831354

Compare all portfolios

vaa.g4.t1.b1.l1 vaa.g4.t1.b1.lv vaa.g4.t1.b1.lv3 vaa.g4.t1.b1.lv3.c vaa.g4.t1.b1.lv3.c.s vaa.g4.t2.b1.lv3.c.s vaa.g4.t1.b1.lv3.m6d
Period Apr1996 - Feb2019 Apr1996 - Feb2019 Apr1996 - Feb2019 Apr1996 - Feb2019 Apr1996 - Feb2019 Apr1996 - Feb2019 Apr1996 - Feb2019
Cagr 33.47 41.8 29.67 29.23 30.59 19.51 30.59
Sharpe 1.28 1.7 1.54 1.52 1.5 1.45 1.5
DVR 1.03 1.19 1.21 1.2 1.23 1.26 1.23
Volatility 25.1 21.97 17.99 17.99 19.09 12.85 19.09
MaxDD -31.08 -24.49 -20.29 -20.29 -22.75 -16.83 -22.75
AvgDD -3.7 -3.04 -2.7 -2.72 -2.88 -1.72 -2.88
VaR -2.17 -2.07 -1.72 -1.73 -1.82 -1.28 -1.82
CVaR -3.83 -3.04 -2.66 -2.66 -2.7 -1.87 -2.7
Exposure 95.94 95.94 95.94 95.94 95.94 95.94 95.94